I'm Swedish but my mom is Finnish and I spent a big part of my childhood in Finland.
One DOES NOT go in a sauna wearing any clothes, let alone FULLY clothed. That's full-on sacrilegious and a complete fucking no-no.
I mean, people get weird looks in public swimming pool saunas in Finland if someones comes in even with their swimming trunks on.
If it's a mixed gender public sauna, towels are acceptable, but so is complete nudity.